Accession Number : ADA186682
Title : Nearly Optimal Singular Controls for Wideband Noise Driven Systems.
Descriptive Note : Annual rept. Sep 85-Oct 86,
Corporate Author : BROWN UNIV PROVIDENCE RI LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS
Personal Author(s) : Kushner, Harold J ; Ramachandran, R M
PDF Url : ADA186682
Report Date : Aug 1986
Pagination or Media Count : 50
Abstract : Singular control problems with diffusion or Weiner process systems have been occuring with increasing frequency as models of a wide variety of applications; e.g., storage, inventory, finite fuel, consumption and investment, limits of impulsive control problems, etc. Here, the increment of the control force is not of the usual form u(t)dt, but is the differential of a non-decreasing and suitably adapted process. The models used (Wiener or diffusion processes) are only approximations in some sense to some 'physical' process - perhaps a 'wideband' noise driven system or a suitably scaled discrete parameter process. The optimal controls for these 'physical' processes are usually nearly impossible to obtain. Thus, it is of considerable interest to know whether the optimal (or delta-optimal control for the diffusion model is 'nearly' optimum when applied to the physical problem, when compared to the optimal or delta optimal control for the latter problem. This is true, under broad conditions. The discounted and average cost per unit time problems are treated. The main methods are those of weak convergence theory.
Descriptors : *NOISE, *CONTROL, *DIFFUSION, *OPTIMIZATION, *BROADBAND, PULSES, APPROXIMATION(MATHEMATICS), STORAGE, THEORY, COSTS, MODELS, FUELS, INVENTORY, TIME
Subject Categories : Theoretical Mathematics
Distribution Statement : APPROVED FOR PUBLIC RELEASE